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I'm new to Quantconnect and I'm having a very hard time understanding the API. I tried to create a trading bot in Python to execute trades on GDAX 24/24 on BTC/EUR, ETH/EUR, BCH/EUR.
My strategy is to trade like this :
- Use the Heikin Ashi candle on a 4h timeframe
- If the previous Heikin Ashi candle is green and the last candle is red => create a sell limit order (with 50% of the holdings) with value = current_price + 0.0001
- If the previous Heikin Ashi candle is red and the last candle is green => create a buy limit order (with 50% of the holdings) with value = current_price - 0.0001
- Create a 4-hour consolidator: consolidator = QuoteBarConsolidator(timedelta(hours = 4))
- Create a HeikinAshi using the constructor: self.heikin_ashi = HeikinAshi(name)
- Register the indicator: self.RegisterIndicator("BTCEUR", self.heikin_ashi, consolidator)
Many thanks !
Guillaume
Petter Hansson
Hello,
please define "does not work" further for somebody to be able to help you. An algo can not work as in not making money, or otherwise have a technical problem (e.g. not makethe intended trades), the former of which is way more difficult to solve than the other.
Guillaume Beaud
Dear Petter,
Thanks for your answer. It is a programming problem and not a "financial strategy" problem.
For the moment I have this piece of code and I was trying to just buy 100% of BTC at the start date to get familiar with the backtesting environment but the backtest is running for about 10 minutes and ends up saying "Runtime Error: System.Exception: Algorithm took longer than 10 minutes on a single time loop.".
from datetime import datetime, timedelta class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 12, 11) # Set Start Date self.SetEndDate(2017, 12, 14) # Set End Date self.SetCash(10000) # Set Strategy Cash self.btc = self.AddCrypto("BTCEUR", Resolution.Hour).Symbol consolidator = QuoteBarConsolidator(timedelta(hours = 4)) self.heikin_ashi = HeikinAshi("BTCEUR") def OnData(self, data): self.SetHoldings(self.btc, 100) # Buy 100% of Equity of BTCUSDMoreover I don't know how to instruct my program to do this :
- Use the Heikin Ashi candle on a 4h timeframe
- If the previous Heikin Ashi candle is green and the last candle is red => create a sell limit order (with 50% of the holdings) with value = current_price + 0.0001
- If the previous Heikin Ashi candle is red and the last candle is green => create a buy limit order (with 50% of the holdings) with value = current_price - 0.0001
I've been looking at the heikin ashi's functions in the API and I found no function that allows to use color switches.. Any help is very welcome ! Thanks ! GuillaumeGuillaume Beaud
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